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Spillover Effects of US Unconventional Monetary Policy: (Evidence from Selected Asian Countries)

Author

Listed:
  • Sayyed Mahdi Ziaei

    (School of Economics and Management, Xiamen University, Malaysia)

  • Kenneth R. Szulczyk

    (School of Economics and Management, Xiamen University, Malaysia)

Abstract

In this study, we evaluate the impact of US monetary policy between 2008 and 2018 (after implementation of quantitative easing policy) on assets, bonds, exchange rates of selected East Asian countries (Japan, South Korea, and Thailand). Our finding emphasized the significant role of US monetary policy on the East Asia financial markets especially in the case of South Korea. Results show that the US Treasury bill spread had the long run and US corporate spread had the short run effects on the asset markets of these countries. More specifically, sovereign yields respond significantly to US term spreads and stock prices respond largely to US corporate spread. The responses of exchange rate and house prices to US monetary policy are significant but attenuate.

Suggested Citation

  • Sayyed Mahdi Ziaei & Kenneth R. Szulczyk, 2021. "Spillover Effects of US Unconventional Monetary Policy: (Evidence from Selected Asian Countries)," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 24(02), pages 1-17, June.
    • Handle: RePEc:wsi:rpbfmp:v:24:y:2021:i:02:n:s0219091521500132
    DOI: 10.1142/S0219091521500132
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